| Overall Summary | ||
|---|---|---|
| Model | Benchmark | |
| Start Date | 2000-01-01 | 2000-01-01 |
| End Date | 2025-04-11 | 2025-04-11 |
| Time Elapsed | 25 years, 3 months | 25 years, 3 months |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $828,919.25 | $261,441.32 |
| CAGR % | 8.73% | 3.88% |
| Max % Drawdown | (54.70%) | (20.79%) |
| Standard Deviation | 5.18% | 1.81% |
| Annualized Sharpe | 0.39 | 0.17 |
| MAR Ratio | 0.16 | 0.19 |
| Win Rate % | 0.0% | 0.0% |
| Avg Win / Loss Ratio | — | — |
| Expectancy | — | — |
| Avg Win % | 0.00% | 0.00% |
| Avg Loss % | 0.00% | 0.00% |
| Longest Drawdown Duration | 46.3 months | 56.2 months |
| Avg Trades Per Year | 0.00 | 0.00 |
| Equity Breakdown | ||
|---|---|---|
| Model | Benchmark | |
| Starting Equity | $100,000.00 | $100,000.00 |
| Ending Equity | $828,919.25 | $261,441.32 |
| Open Equity | $728,919.25 | $161,441.32 |
| Gross Profit | $0.00 | $0.00 |
| Gross Loss | $0.00 | $0.00 |
| Net Profit | $0.00 | $0.00 |
| Net Long Profit | $0.00 | $0.00 |
| Net Short Profit | $0.00 | $0.00 |
| Net Long Profit as % of Net Profit | — | — |
| Net Short Profit as % of Net Profit | — | — |
| Earned Dividends | $0.00 | $0.00 |
| Earned Interest | $0.00 | $0.00 |
| Margin Interest | $0.00 | $0.00 |
| Total Slippage | $0.00 | $0.00 |
| Total Forex Carry | $0.00 | $0.00 |
| Total Commissions | $0.00 | $0.00 |
| Expenses | ||
|---|---|---|
| Model | Benchmark | |
| Margin Interest | $0.00 | $0.00 |
| Total Commissions | $0.00 | $0.00 |
| Round Turns | 0.0 | 0.0 |
| Commissions Per Round Turn | $0.00 | $0.00 |
| Slippage Per Round Turn | $0.00 | $0.00 |
| Risk / Reward | ||
|---|---|---|
| Model | Benchmark | |
| MAR Ratio | 0.16 | 0.19 |
| Calmar Ratio | 0.17 | 0.19 |
| Modified Sharpe Ratio | 0.56 | 0.64 |
| Robust Sharpe Ratio | 0.56 | 0.60 |
| R-Squared | 0.9427 | 0.8911 |
| Profit Expectation | ||
|---|---|---|
| Model | Benchmark | |
| CAGR % | 8.73% | 3.88% |
| RAR | 10.06% | 3.76% |
| Profit Factor | 0.00 | 0.00 |
| Percent Profit Factor | 0.00 | 0.00 |
| Expectancy | — | — |
| Percentage Expectancy | 0.00 | 0.00 |
| Total Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Max % Drawdown | (54.70%) | (20.79%) |
| Longest Drawdown Duration | 46.3 months | 56.2 months |
| Max Monthly % Drawdown | (50.27%) | (19.92%) |
| Avg of Top-5 Max % Drawdowns | (37.39%) | (11.43%) |
| Avg Duration of Top-5 Longest Drawdowns | 27.8 months | 31.2 months |
| Avg of All % Drawdowns | (3.26%) | (1.40%) |
| Std Dev of All % Drawdowns | 6.46% | 1.95% |
| Closed Equity Drawdowns | ||
|---|---|---|
| Model | Benchmark | |
| Closed-Equity Max % Drawdown | 0.00% | 0.00% |
| Closed-Equity Max Monthly % Drawdown | 0.00% | 0.00% |
| Closed-Equity Avg of All % Drawdown | 0.00% | 0.00% |
| Closed-Equity Std Dev of All % Drawdown | 0.00% | 0.00% |
| Trades | ||
|---|---|---|
| Model | Benchmark | |
| Win Rate % | 0.0% | 0.0% |
| Lose Rate % | 0.0% | 0.0% |
| Winning Trades | 0 | 0 |
| Losing Trades | 0 | 0 |
| Total Trades | 0 | 0 |
| Max Consecutive Wins | 0 | 0 |
| Max Consecutive Losses | 0 | 0 |
| Avg Trade Duration | 0.0 days | 0.0 days |
| Avg Winning Trade Duration | 0.0 days | 0.0 days |
| Avg Losing Trade Duration | 0.0 days | 0.0 days |
| Largest Winning Trade | $0.00 | $0.00 |
| Largest Losing Trade | $0.00 | $0.00 |
| Largest Win as % of Net Profit | — | — |
| Avg Win | $0.00 | $0.00 |
| Avg Loss | $0.00 | $0.00 |
| Avg Win / Loss Ratio | — | — |
| Avg Trade | $0.00 | $0.00 |
| Avg Win % | 0.00% | 0.00% |
| Avg Loss % | 0.00% | 0.00% |
| Avg Trade % | 0.00% | 0.00% |
| Avg Risk % | 0.00% | 0.00% |
| Avg Trades Per Year | 0.00 | 0.00 |
| Avg Trades Per Month | 0.00 | 0.00 |
| Avg Trades Per Day | 0.00 | 0.00 |
| Monthly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Months % | 61.5% | 56.9% |
| Losing Months % | 38.5% | 43.1% |
| Winning Months | 187 | 173 |
| Losing Months | 117 | 131 |
| Total Months | 304 | 304 |
| Max Consecutive Winning Months | 8 | 8 |
| Max Consecutive Losing Months | 6 | 6 |
| Yearly Win / Loss Profile | ||
|---|---|---|
| Model | Benchmark | |
| Winning Years % | 69.2% | 80.8% |
| Losing Years % | 30.8% | 19.2% |
| Winning Years | 18 | 21 |
| Losing Years | 8 | 5 |
| Total Years | 26 | 26 |
| Max Consecutive Winning Years | 6 | 9 |
| Max Consecutive Losing Years | 3 | 2 |
| Rolling Periods | ||
|---|---|---|
| Model | Benchmark | |
| Rolling 3-Month Win Rate | 66.2% | 61.6% |
| Rolling 6-Month Win Rate | 71.6% | 65.9% |
| Rolling 12-Month Win Rate | 73.0% | 71.3% |
| Rolling 3-Year Win Rate | 83.3% | 87.5% |
| Rolling 5-Year Win Rate | 100.0% | 90.9% |
| Rolling 10-Year Win Rate | 100.0% | 100.0% |
| Rolling 3-Month Periods | 302 | 302 |
| Rolling 6-Month Periods | 299 | 299 |
| Rolling 12-Month Periods | 293 | 293 |
| Rolling 3-Year Periods | 24 | 24 |
| Rolling 5-Year Periods | 22 | 22 |
| Rolling 10-Year Periods | 17 | 17 |
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